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  • Search: subject:"Sequential information arrival hypothesis"
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Year of publication
Subject
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Volatility 12 Volatilität 11 Trading volume 10 Börsenkurs 9 Estimation 9 Handelsvolumen der Börse 9 Schätzung 9 Share price 9 Capital income 8 Kapitaleinkommen 8 ARCH model 6 ARCH-Modell 6 Sequential Information Arrival Hypothesis 6 Information dissemination 5 Informationsverbreitung 5 Mixture of Distribution Hypothesis 4 sequential information arrival hypothesis 4 Aktienmarkt 3 Causality analysis 3 Economics of information 3 Information flow 3 Informationsökonomik 3 Kausalanalyse 3 Market microstructure 3 Marktmikrostruktur 3 Sequential Information Arrival Hypothesis (SIAH) 3 Sequential information arrival hypothesis 3 Stock market 3 Theorie 3 Theory 3 trading volume 3 Ankündigungseffekt 2 Announcement effect 2 Conditional Volatility 2 Emerging economies 2 Generalized Autoregressive Conditional Heteroskedasticity 2 Granger causality 2 Mixture of distribution hypothesis 2 Mixture of distribution hypothesis (MDH) 2 Return volatility 2
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Online availability
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Free 9 Undetermined 8 CC license 1
Type of publication
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Article 16 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 11 Aufsatz in Zeitschrift 11 Article 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Thesis 1 Working Paper 1
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Language
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English 15 Undetermined 3
Author
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Abaoub, Ezzeddine 2 Alhussayen, Hanan 2 Belhaj, Fethi 2 Li, Xiao 2 Samut, Serkan 2 Serdengeçti, Süleyman 2 Shen, Dehua 2 Tseng, Tseng-Chan 2 Yamak, Nebiye 2 Yamak, Rahmi 2 Zhang, Wei 2 Aloui, Chaker 1 Chen, Jih-Kuang 1 Chen, Mei-Ping 1 Chiu, Chien-Liang 1 Chou, Ke-Hsin 1 Day, Min-Yuh 1 Ghosh, Dipak 1 Lai, Hung-Cheng 1 Lee, Chien-Chiang 1 Lin, Fang-Jun 1 Lu, Wen-Cheng 1 Sahota, Gurleen 1 Sensoy, Ahmet 1 Singh, Balwinder 1 Tissaoui, Kais 1 Wang, Chaoyan 1 Wang, Pengfei 1 Wang, Shaoping 1 Xia, Yingcun 1 Yan, Yayi 1 Şensoya, Ahmet 1
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Institution
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Türkiye Cumhuriyet Merkez Bankası 1
Published in...
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Economic modelling 3 Asian economic journal : journal of the East Asian Economic Association 1 Financial Studies 1 Financial studies 1 International Journal of Economics and Financial Issues 1 International Journal of Financial Services Management 1 International journal of economics and financial issues : IJEFI 1 International review of economics & finance : IREF 1 International review of financial analysis 1 Journal of economic interaction and coordination : JEIC 1 Organizations and Markets in Emerging Economies 1 Organizations and markets in emerging economies 1 The International Journal of Business and Finance Research 1 Vision : the journal of business perspective 1 Working paper / Türkiye Cumhuriyet Merkez Bankası 1
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Source
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ECONIS (ZBW) 12 RePEc 3 EconStor 2 BASE 1
Showing 11 - 18 of 18
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Trading volume and return volatility of Bitcoin market : evidence for the sequential information arrival hypothesis
Wang, Pengfei; Zhang, Wei; Li, Xiao; Shen, Dehua - In: Journal of economic interaction and coordination : JEIC 14 (2019) 2, pp. 377-418
Persistent link: https://www.econbiz.de/10012111563
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Intraday volume-volatility nexus in the FX markets : evidence from an emerging market
Sensoy, Ahmet; Serdengeçti, Süleyman - In: International review of financial analysis 64 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012208202
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Baidu news information flow and return volatility : evidence for the Sequential Information Arrival Hypothesis
Shen, Dehua; Li, Xiao; Zhang, Wei - In: Economic modelling 69 (2018), pp. 127-133
Persistent link: https://www.econbiz.de/10012016139
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The empirical investigation of causal relationship between intraday return and volume in Indian stock market
Sahota, Gurleen; Singh, Balwinder - In: Vision : the journal of business perspective 20 (2016) 3, pp. 199-210
Persistent link: https://www.econbiz.de/10011667354
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Securities trading in multiple markets: the Chinese perspective
Wang, Chaoyan - 2009
relation between contemporaneous volume and volatility, while the Sequential Information Arrival Hypothesis indicates a … causality relationship between lead-lag volume and volatility. We find supportive evidence for the Sequential Information … Arrival Hypothesis but not for the Mixture of Distributions Hypothesis. …
Persistent link: https://www.econbiz.de/10009465988
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Volatility forecast of country ETF : the sequential information arrival hypothesis
Tseng, Tseng-Chan; Lee, Chien-Chiang; Chen, Mei-Ping - In: Economic modelling 47 (2015), pp. 228-234
Persistent link: https://www.econbiz.de/10011439071
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Information flow between stock return and trading volume: the Tunisian stock market
Tissaoui, Kais; Aloui, Chaker - In: International Journal of Financial Services Management 5 (2011) 1, pp. 52-82
variance in major Tunisian stocks is found. This result supports the Sequential Information Arrival Hypothesis (SIAH) of …
Persistent link: https://www.econbiz.de/10010816468
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AN EMPIRICAL STUDY OF VOLATILITY AND TRADING VOLUME DYNAMICS USING HIGH-FREQUENCY DATA
Lu, Wen-Cheng; Lin, Fang-Jun - In: The International Journal of Business and Finance Research 4 (2010) 3, pp. 93-101
sequential information arrival hypothesis that suggests lagged values of trading volume provide the predictability component of …
Persistent link: https://www.econbiz.de/10011206136
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